Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0040
Annualized Std Dev 0.1514
Annualized Sharpe (Rf=0%) -0.0266

Row

Daily Return Statistics

Close
Observations 5570.0000
NAs 1.0000
Minimum -0.1469
Quartile 1 -0.0046
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0045
Maximum 0.0751
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0095
Skewness -0.6905
Kurtosis 18.2088

Downside Risk

Close
Semi Deviation 0.0069
Gain Deviation 0.0070
Loss Deviation 0.0075
Downside Deviation (MAR=210%) 0.0121
Downside Deviation (Rf=0%) 0.0068
Downside Deviation (0%) 0.0068
Maximum Drawdown 0.3240
Historical VaR (95%) -0.0137
Historical ES (95%) -0.0220
Modified VaR (95%) -0.0139
Modified ES (95%) -0.0202
From Trough To Depth Length To Trough Recovery
1999-01-14 2008-10-10 2012-08-08 -0.3240 3397 2433 964
2016-10-12 2020-03-18 NA -0.2943 1117 863 NA
2013-02-13 2013-12-05 2016-02-26 -0.2479 765 206 559
2016-06-23 2016-09-09 2016-10-11 -0.0847 77 55 22
2012-09-10 2012-12-19 2013-02-12 -0.0763 106 70 36

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.5 -0.5 0 0.5 -0.5 0.5 -0.5 1.1 0 0 0 -0.6 0.5
2000 0 -1.7 2.2 1.7 1.1 0 -1.1 0 0 0 0.6 0.5 3.4
2001 -0.3 0.8 1.2 1.1 0 -0.2 0 -0.5 0.3 0.1 -0.4 0.3 2.3
2002 0.4 0.2 0.1 0.6 0 0 0.1 0.2 0.2 0.2 0.3 -0.2 2.1
2003 0 -0.5 0.6 -0.7 -1 0 -1.1 0.4 1.6 0.6 -1 -0.1 -1.2
2004 0.4 0.9 -0.2 0.9 -0.4 -0.7 0.9 0.6 0.9 -0.6 -0.1 0.2 2.8
2005 0.6 -0.7 1.6 -0.2 2.4 -0.2 0.1 -0.3 -0.1 2.2 0.4 0.7 6.7
2006 -0.2 -1.1 1 0 0.5 0.6 0.6 0.4 -0.7 -0.4 -0.7 -0.4 -0.4
2007 0.3 0.5 -0.5 -0.1 -1.6 0.2 -1.1 1.1 -0.2 -0.4 1.3 -2.1 -2.6
2008 0.5 -1.7 0.2 0.9 0.3 -0.4 0.3 -0.5 5.5 -0.2 -0.6 0.2 4.4
2009 -0.4 -0.3 1 2.4 -2 0.9 0 0.4 0.3 1.3 0.9 0 4.4
2010 0 -0.2 1.9 -0.1 0.4 0.2 -0.2 -0.6 0.4 2.1 -1.2 1.2 3.8
2011 0.7 0.5 0.1 0.5 0.3 1 1.3 0.9 0.5 0 0.4 0.1 6.5
2012 0.5 1.5 0.4 -0.2 -1.3 -0.5 0.9 1.4 0.6 0.4 0.2 0.7 4.6
2013 -0.4 0 -0.4 -0.5 -3.3 0.6 -0.7 0.1 0.2 -0.4 0.4 -0.1 -4.4
2014 2.6 0 0.4 -0.1 -0.5 -0.1 -0.5 0.4 -0.2 0.2 0.5 0.8 3.4
2015 1 0.8 1.9 -0.1 0.4 0.5 0.4 0.4 0.2 0.8 0.8 0.5 7.7
2016 0.4 -0.2 0.1 1.1 1.9 0.2 -0.2 -0.1 1.2 0.4 -1.5 0.3 3.6
2017 0 -1.9 1.2 -1.1 0.1 -0.6 -0.4 -0.4 0.1 -0.2 0.8 0.1 -2.2
2018 -0.6 -0.9 -0.8 0.4 -0.4 -0.4 -0.5 0.2 0.1 0.2 0.3 1.2 -1.2
2019 0.7 0.2 -0.1 0 -0.5 0 0.1 0.5 0 -0.3 0.2 0.1 0.9
2020 0.1 -1.2 -6.5 -0.9 1.4 0.5 0.5 2.2 -1.3 0.1 -0.8 0.9 -5.1
2021 0.1 0.4 -0.6 NA NA NA NA NA NA NA NA NA -0.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  12.4 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  12.2 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  12.4 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  12.4 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  12.4 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  12.4 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart